Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0034 |
| Annualized Std Dev | 0.6011 |
| Annualized Sharpe (Rf=0%) | 0.0057 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3092.0000 |
| NAs | 1.0000 |
| Minimum | -0.2814 |
| Quartile 1 | -0.0163 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0186 |
| Maximum | 0.1742 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0021 |
| Variance | 0.0014 |
| Stdev | 0.0379 |
| Skewness | -0.5697 |
| Kurtosis | 5.5524 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0277 |
| Gain Deviation | 0.0255 |
| Loss Deviation | 0.0295 |
| Downside Deviation (MAR=210%) | 0.0316 |
| Downside Deviation (Rf=0%) | 0.0274 |
| Downside Deviation (0%) | 0.0274 |
| Maximum Drawdown | 0.9816 |
| Historical VaR (95%) | -0.0592 |
| Historical ES (95%) | -0.0922 |
| Modified VaR (95%) | -0.0632 |
| Modified ES (95%) | -0.1220 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-29 | 2020-03-18 | NA | -0.9816 | 2490 | 2236 | NA |
| 2009-12-03 | 2010-02-08 | 2010-09-14 | -0.4086 | 196 | 45 | 151 |
| 2009-06-03 | 2009-07-10 | 2009-09-10 | -0.3863 | 70 | 27 | 43 |
| 2009-02-24 | 2009-04-17 | 2009-05-28 | -0.3556 | 66 | 38 | 28 |
| 2011-01-03 | 2011-01-25 | 2011-02-17 | -0.2537 | 33 | 16 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7 | 7 |
| 2009 | 4.3 | -0.1 | 0.7 | 1.7 | -1.3 | 2.6 | 7.2 | 2.1 | -3.5 | -3.7 | 6.8 | 0.3 | 17.5 |
| 2010 | 5.8 | -0.4 | 4.9 | 1.3 | 0 | -8.7 | 3.9 | 0.3 | 3.1 | -0.8 | 2.6 | 2.8 | 15.1 |
| 2011 | 3.6 | 4.6 | 0.3 | -1.7 | -9.7 | -5.1 | -3.1 | 0.3 | -7 | -6.6 | -0.9 | -1.3 | -24.3 |
| 2012 | 3 | 5.3 | 0.1 | -0.7 | 4.9 | 8.1 | -4.4 | 9.4 | 1.2 | -0.3 | -4.9 | 1.8 | 25 |
| 2013 | 2.3 | 0.4 | -2.3 | -5.2 | -4.9 | 0.2 | -1.7 | -3.4 | -4.7 | -0.5 | 3 | -1.6 | -17.3 |
| 2014 | -0.3 | -1.1 | 0.2 | -1.3 | -2.6 | -0.7 | -0.5 | -0.5 | 1.5 | -4.2 | 12.8 | -6.8 | -4.7 |
| 2015 | 3.7 | 0.3 | 3.8 | 0.7 | 0.2 | -1.6 | -0.3 | -0.8 | 0.3 | -0.8 | 1.2 | -0.3 | 6.6 |
| 2016 | 1.3 | -0.8 | -4.4 | 2.5 | 0 | 9.6 | 0.8 | 2.4 | 0.9 | 5.3 | 0.1 | -3.1 | 14.8 |
| 2017 | -0.4 | 0.7 | 0.9 | -3.9 | -0.1 | -0.3 | -1.5 | 1.1 | -2.3 | 5.1 | 0.1 | 1.2 | 0.4 |
| 2018 | -0.9 | 1.1 | 0.7 | -2 | -0.3 | 1.3 | -1.9 | -0.8 | -1.7 | 6.5 | -1.7 | 1.1 | 1.1 |
| 2019 | -1.7 | -5.9 | -0.4 | -4.2 | 0.9 | -2.4 | 1.4 | 1 | 2.7 | 0.1 | 0.6 | -0.7 | -8.5 |
| 2020 | 1.6 | -12.1 | -2 | -0.7 | 4.1 | -2.6 | 8.7 | -0.7 | 4.3 | 2.6 | 12.5 | -1.5 | 12.7 |
| 2021 | 14.7 | 0 | 1.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 16.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-12-04 45.6 SPY 85.3 -0.0231 -0.0412 -0.150 -0.314 -0.427 -0.328 -0.204 GLD 75.5 -0.0089 -0.0607
2 2008-12-05 45.5 SPY 87.9 0.0308 -0.024 -0.0859 -0.308 -0.418 -0.305 -0.183 GLD 74.5 -0.013 -0.0721
3 2008-12-08 51.1 SPY 91 0.0349 0.108 0.0015 -0.262 -0.397 -0.282 -0.148 GLD 76.2 0.0225 0.0072
4 2008-12-09 48.9 SPY 89.5 -0.0165 0.0496 -0.0465 -0.277 -0.412 -0.290 -0.168 GLD 76.3 0.0018 -0.0081
5 2008-12-10 52.8 SPY 90.1 0.0068 0.032 -0.0272 -0.282 -0.391 -0.285 -0.156 GLD 79.8 0.0448 0.0469
6 2008-12-11 54 SPY 87.9 -0.0241 0.0309 -0.0204 -0.303 -0.411 -0.304 -0.176 GLD 80.6 0.0113 0.0682
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
